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PUBLICATIONS
Portfolio Selection with Mental Accounts and Estimation Risk, with Gordon J. Alexander and Shu Yan, Journal of Empirical Finance, forthcoming.
On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule, 2015, with Gordon J. Alexander and Shu Yan, Financial Markets, Institutions and Instruments 24, 87-125
[Lead Article].
Bank Regulation and International Financial Stability: A Case against the 2006 Basel Framework for Controlling Tail Risk in Trading Books, 2014, with Gordon J. Alexander and Shu Yan, Journal of International Money and Finance 43,
107–130.
A Comparison of the Original and Revised Basel Market Risk Frameworks for Regulating Bank Capital, 2013, with Gordon J. Alexander and Shu Yan, Journal of Economic Behavior and Organization 85, 249–268.
When More is Less: Using Multiple Constraints to Reduce Tail Risk, 2012, with Gordon J. Alexander and Shu Yan, Journal of Banking and Finance 36, 2693–2716.
Portfolio Selection with Mental Accounts and Background Risk, 2012, Journal of Banking and Finance 36, 968–980.
Portfolio Selection with Mental Accounts and Delegation, 2011, with Gordon J. Alexander, Journal of Banking and Finance 35, 2637–2656.
Active Portfolio Management with Benchmarking: A Frontier Based on Alpha, 2010, with Gordon J. Alexander, Journal of Banking and Finance 34, 2185–2197.
Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales Are Allowed, 2009, with Gordon J. Alexander and Shu Yan, Managerial and Decision Economics 30, 281–305 [Lead Article].
Stress Testing by Financial Intermediaries: Implications for Portfolio Selection and Asset Pricing, 2009, with Gordon J. Alexander, Journal of Financial Intermediation 18, 65–92.
Optimal Delegated Portfolio Management with Background Risk, 2008, Journal of Banking and Finance 32, 977–985.
Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint, 2008, with Gordon J. Alexander, Journal of Economic Dynamics and Control 32, 779–820.
Mean-Variance Portfolio Selection with 'at-Risk' Constraints and Discrete Distributions, 2007, with Gordon J. Alexander and Shu Yan, Journal of Banking and Finance 31, 3761–3781.
On the Non-Existence of Redundant Options, 2007, Economic Theory 31, 205–212 [Lead Article].
Portfolio Selection with a Drawdown Constraint, 2006, with Gordon J. Alexander, Journal of Banking and Finance 30, 3171–3189.
Does the Basle Capital Accord Reduce Bank Fragility? An Assessment of the Value-at-Risk Approach, 2006, with Gordon J. Alexander, Journal of Monetary Economics 53, 1631–1660.
Options and Efficiency in Multidate Security Markets, 2005, Mathematical Finance 15, 569–587.
A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model, 2004, with Gordon J. Alexander, Management Science 50, 1261–1273.
Portfolio Performance Evaluation Using Value-at-Risk, 2003, with Gordon J. Alexander, Journal of Portfolio Management 29, 93–102.
Spanning with American Options, 2003, Journal of Economic Theory 110, 264–289.
Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis, 2002, with Gordon J. Alexander, Journal of Economic Dynamics and Control 26, 1159–1193.
A Note on the Rights Valuation Formula Commonly Presented in Finance Textbooks, 2001, with Gordon J. Alexander, Journal of Applied Finance 11, 102–109.
SELECTED WORKING PAPER:
Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework, with Gordon J. Alexander.